DocumentCode
391150
Title
On the worst-case disturbance of minimax optimal control
Author
Yoon, Myung-gon ; Ugrinovskii, Valery A. ; Petersen, Ian R.
Author_Institution
Sch. of Electr. Eng., Australian Defence Force Acad., Canberra, ACT, Australia
Volume
1
fYear
2002
fDate
10-13 Dec. 2002
Firstpage
604
Abstract
We consider a minimax optimal control problem for uncertain stochastic systems. The uncertainty in the underlying stochastic system is formulated in terms of probability measure of perturbations satisfying a relative entropy constraint. By characterizing the worst-case measure of a related stochastic minimax game, it is shown that the worst-case uncertain system can be represented in the form of a parametric perturbation of nominal system.
Keywords
closed loop systems; game theory; optimal control; probability; state feedback; stochastic systems; uncertain systems; closed loop system; minimax optimal control; perturbations; probability; relative entropy constraint; state feedback; stochastic minimax game; stochastic systems; uncertain systems; worst-case measure; Entropy; Minimax techniques; Noise measurement; Optimal control; Q measurement; State feedback; Stochastic processes; Stochastic systems; Uncertain systems; Uncertainty;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2002, Proceedings of the 41st IEEE Conference on
ISSN
0191-2216
Print_ISBN
0-7803-7516-5
Type
conf
DOI
10.1109/CDC.2002.1184567
Filename
1184567
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